Stephen Schaefer
Stephen Schaefer
Verified email at london.edu
TitleCited byYear
Structural models of credit risk are useful: Evidence from hedge ratios on corporate bonds
SM Schaefer, IA Strebulaev
Journal of Financial Economics 90 (1), 1-19, 2008
4202008
Corporate bond default risk: A 150-year perspective
K Giesecke, FA Longstaff, S Schaefer, I Strebulaev
Journal of Financial Economics 102 (2), 233-250, 2011
2692011
The term structure of real interest rates and the Cox, Ingersoll, and Ross model
RH Brown, SM Schaefer
Journal of Financial Economics 35 (1), 3-42, 1994
2461994
A two-factor model of the term structure: An approximate analytical solution
SM Schaefer, ES Schwartz
Journal of Financial and Quantitative analysis 19 (4), 413-424, 1984
2201984
Measuring a tax-specific term structure of interest rates in the market for British government securities
SM Schaefer
The Economic Journal 91 (362), 415-438, 1981
2001981
Liquidity risk and correlation risk: A clinical study of the General Motors and Ford Downgrade of May 2005
VV Acharya, S Schaefer, Y Zhang
The Quarterly Journal of Finance 5 (02), 1550006, 2015
160*2015
Non-linear value-at-risk
M Britten-Jones, SM Schaefer
Review of Finance 2 (2), 161-187, 1999
1551999
Time‐dependent variance and the pricing of bond options
SM Schaefer, ES Schwartz
The Journal of Finance 42 (5), 1113-1128, 1987
1321987
Evaluation of active management of the Norwegian government pension fund–global
A Ang, WN Goetzmann, S Schaefer
report to the Norwegian Ministry of Finance, 2009
1312009
Interest rate volatility and the shape of the term structure
RH Brown, SM Schaefer
Philosophical Transactions of the Royal Society of London. Series A …, 1994
1311994
The direct and compliance costs of financial regulation
JR Franks, SM Schaefer, MD Staunton
Journal of Banking & Finance 21 (11-12), 1547-1572, 1997
1251997
Tax-induced clientele effects in the market for British government securities: Placing bounds on security values in an incomplete market
SM Schaefer
Journal of Financial Economics 10 (2), 121-159, 1982
1111982
The dynamics of the term structure and alternative portfolio immunization strategies
J Nelson, S Schaefer
Innovations in bond portfolio management: Duration analysis and immunization …, 1983
981983
Taxes and security market equilibrium
SM Schaefer
Graduate School of Business, Stanford University, 1980
921980
Exchange risk and international diversification in bond and equity portfolios
E Kaplanis, SM Schaefer
Journal of Economics and Business 43 (4), 287-307, 1991
791991
The Myth of the Credit Spread Puzzle
P Feldhutter, S Schaefer
Unpublished Manuscript, 2016
69*2016
A model for bond portfolio improvement
SD Hodges, SM Schaefer
Journal of Financial and Quantitative Analysis 12 (2), 243-260, 1977
681977
Macroeconomic effects of corporate default crisis: A long-term perspective
K Giesecke, FA Longstaff, S Schaefer, IA Strebulaev
Journal of Financial Economics 111 (2), 297-310, 2014
572014
Continuous price processes in frictionless markets have infinite variation
JM Harrison, R Pitbladdo, SM Schaefer
Journal of Business, 353-365, 1984
511984
The problem with redemption yields
SM Schaefer
Financial Analysts Journal 33 (4), 59-67, 1977
411977
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Articles 1–20